Open the SSH Secure Shell Windows Client.
Optionally connect to the server using some available authentication method for example password.
Choose Edit > Settings... > Global Settings > User Authentication > Keys
Click "Generate New...", and follow the instructions on the screen. Please choose a passphrase that is difficult to guess - spaces are OK.
You will be given the option of uploading the public key to the server and setting up public-key authentication. Note that SFTP is used so any SFTP related restrictions on the server side affect also the upload manager.

Command Line

Generate a user key pair with the following command:

C:> ssh-keygen2

Provide the passphrase twice. Please choose a passphrase that is difficult to guess - spaces are OK.

This will create a public key (.pub) and a private key (no extension) to the UserKeys folder in User Settings Folder.

The default file names are id_dsa_2048_a.pub and id_dsa_2048_a (both assuming you don't change the file names or key size). The default key size is 2048 for SSH Secure Shell 3.2 and above.